Probabilistic approximation of solutions of the Cauchy problem for some evolution equations (Q357241)

This article deals with the solution of the Cauchy problem for the equation \[ \frac{\partial u}{\partial t}+\sigma^{2}\frac{\partial^{2} u}{\partial x^{2}}+f(x)u=0, \;t>0, \;x\in\mathbb{R}, \] where \(\sigma\) is a complex number. In particular, the authors construct an analog of probabilistic representation of this solution. To that end, their approach is based on the ideology of the theory of generalized functions. Section 1 is an introduction and Section 2 presents the main notation used. Section 3 discusses how a generalized function can be written as the limit of probability measures. Section 4 is devoted to processes with independent increments and operator semigroups generated by such processes. Finally, Section 5 studies processes of quadratic variation and semigroups generated by such processes.